Annual Report 2012

5 MANAGEMENT DISCUSSION AND ANALYSISInterest rate sensitivity gap analysisThe analysis of the next expected repricing dates or maturity dates (whichever are earlier) of the Group’s assets and liabilities as at the balancesheet date is set out below:(In millions of RMB)Non-interestbearingLess thanthree monthsAs at 31 December 2012Betweenthree monthsand one yearBetweenone year andfive yearsMore thanfive yearsAssetsCash and deposits with central banks 186,811 2,271,258 – – – 2,458,069Deposits and placements with banks and non-bank financial institutions – 556,220 150,292 9,039 – 715,551Financial assets held under resale agreements – 275,316 41,369 – – 316,685Loans and advances to customers – 3,848,626 3,346,574 46,068 68,611 7,309,879Investments 21,572 275,869 659,380 932,291 979,902 2,869,014Other assets 303,630 – – – – 303,630TotalTotal assets 512,013 7,227,289 4,197,615 987,398 1,048,513 13,972,828LiabilitiesBorrowings from central banks – 4,117 2,164 – – 6,281Deposits and placements from banks and non-bank financial institutions – 1,002,507 85,452 9,784 – 1,097,743Financial liabilities at fair value through profit or loss 20,000 15,664 1,587 – – 37,251Financial assets sold under repurchase agreements – 2,189 171 – – 2,360Deposits from customers 61,385 7,904,321 2,328,493 1,041,442 7,438 11,343,079Debt securities issued – 54,137 43,740 26,670 138,444 262,991Other liabilities 273,514 – – – – 273,514Total Liabilities 354,899 8,982,935 2,461,607 1,077,896 145,882 13,023,219Interest rate sensitivity gap in 2012 157,114 (1,755,646) 1,736,008 (90,498) 902,631 949,609Accumulated interest rate sensitivity gap in 2012 (1,755,646) (19,638) (110,136) 792,495Interest rate sensitivity gap in 2011 194,036 (1,770,699) 1,172,398 364,416 856,510 816,661Accumulated interest rate sensitivity gap in 2011 (1,770,699) (598,301) (233,885) 622,625As at 31 December 2012, the repricing gap of the Group’s assets and liabilities generally narrowed. The accumulated negative gap for a periodless than one year was RMB19,638 million, which narrowed by RMB578,663 million compared to 2011, mainly due to the assets increases ofdeposits and placements with banks and non-bank financial institutions, and financial assets held under resale agreements. The Group’s positivegap for a period more than one year was RMB812,133 million, which narrowed by RMB408,793 million over 2011, mainly due to the growth oflong-term deposits.Net interest income sensitivity analysisNet interest income sensitivity analysis is based on two scenarios. The first is to assume that the interest rate for deposits with the PBC staysconstant, and all yield curves rise or fall by 100 basis points in a parallel way; the second is to assume that the interest rates for deposits with thePBC and demand deposits stay constant, while the other yield curves rise or fall by 100 basis points in a parallel way.The interest rate sensitivity of the Group’s net interest income is set out below.Change in net interest incomeRise by100 basis points(demand depositrates being constant)Fall by100 basis points(demand depositrates being constant)(In millions of RMB)Rise by100 basis pointsFall by100 basis pointsAs at 31 December 2012 (36,670) 36,670 26,887 (26,887)As at 31 December 2011 (37,516) 37,516 21,061 (21,061)48 China Construction Bank Corporation annual report 2012